Panel data models with two threshold variables

DOI10.1515/SNDE-2020-0048MaRDI QIDQ6138251zbMATH OpenOpenAlexWikidataFDO

Authors Arturo Lamadrid-Contreras, Nelson R. Ramírez-Rondán

Publication date 5 September 2023

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/snde-2020-0048

zbMATH Keywords

capital market imperfectionspanel datathreshold model

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

• A bootstrap procedure for panel data sets with many cross-sectional units
• Biases in Dynamic Models with Fixed Effects
• Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
• Dynamic panels with threshold effect and endogeneity
• Generic consistency of the break‐point estimator under specification errors
• Inference in TAR Models
• Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
• Maximum likelihood estimation of dynamic panel threshold models
• Maximum likelihood estimation of fixed effects dynamic panel data models covering short time periods
• Sample Splitting and Threshold Estimation
• The incidental parameter problem since 1948
• Theory and applications of TAR model with two threshold variables
• Threshold effects in non-dynamic panels: Estimation, testing, and inference

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